Lars,
Thanks for the sample and the screen shot. I examined the sample image with ExifTool and it indicates that it should be rotated (Orientation is not zero). The image is indeed taller than wide and doesn't need the Orientation set. PM pays attention to the Orientation value and you can see in your screen shot that the image is soft-rotated.
I don't know why DxO would put the Orientation tag set to a non-zero value if it has already rotated the image when it produced the JPEG data. It shouldn't be doing that. The reason other apps aren't showing the image on its side is likely because they ignore the Orientation data.
-Kirk